This paper investigates whether stock market wealth affects real consumption asymmetrically through a threshold adjustment model. The empirical findings for the US show that wealth produces an asymmetric effect on real consumption, with negative 'news' affecting consumption less than positive...

We find strong evidence that US common stocks have been a hedge against inflation in the long run, from the early 1950s. Adopting a two-regime threshold vector error-correction model, we find that the stock price and the goods price are co-integrated with unit elasticity, with stock return and...

When stock prices rise, so does aggregate consumer spending. A traditional explanation for this phenomenon is based on wealth effects. However, movements of the stock market may affect consumer spending indirectly, by influencing consumer confidence. A bullish stock market may make consumers...

This study focuses on the role of structured derivative securities to meet diverse corporate financing objectives in the light of agency theory and asymmetric information. The focus is on the nonconvertible callable-puttable fixed-coupon bonds. The primary objective is to discern the marginal...

This paper studies volatility in individual stocks of the Toronto Stock Exchange (TSE), using a recently developed nonlinear approach, a stochastic threshold model. Trading information is embedded into the determination process for volatility in the stochastic threshold model with a generalized...

In the absence of a major disruption in spending by consumers and firms, the effects of energy price shocks on the economy will be small. In this paper, we quantify the direct effect on real consumption of (1) unanticipated changes in discretionary income, (2) shifts in precautionary savings,...